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Group affiliation and default prediction
Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018
Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...
Persistent link: https://www.econbiz.de/10011864989
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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The Fed takes on corporate credit risk : an analysis of the efficacy of the SMCCF
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2024 - This version: March 2024
This paper evaluates the efficacy of the Secondary Market Corporate Credit Facility, a program designed to stabilize the U.S. corporate bond market during the COVID-19 pandemic. The program announcements on March 23 and April 9, 2020, significantly reduced investment-grade credit spreads across...
Persistent link: https://www.econbiz.de/10014529079
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Stock Liquidity and Default Risk
Brogaard, Jonathan - 2019
This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission … decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the … highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm …
Persistent link: https://www.econbiz.de/10012904049
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The Liquidity of Credit Default Index Swap Networks
Haynes, Richard - 2019
increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …
Persistent link: https://www.econbiz.de/10012871667
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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …
Persistent link: https://www.econbiz.de/10012271211
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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - 2014
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...
Persistent link: https://www.econbiz.de/10011343850
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010503289
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Costly External Finance, Liquidity Risk, and Default Risk
Yang, Jun - 2011
I use the 2007-2008 financial crisis to gauge how internal financial resources and external financial constraints mitigate or worsen the impact of the crisis on default risk of US industrial firms. I identify heterogeneity in short-term funding needs at the onset of the crisis by exploiting...
Persistent link: https://www.econbiz.de/10013128496
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The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading : Evidence from the Credit Default Swap Market
Loon, Yee Cheng - 2013
improvement in liquidity and trading activity …
Persistent link: https://www.econbiz.de/10013089648